Research Article
Chinese Currency Exchange Rates Forecasting with EMD-Based Neural Network
Table 6
Robust tests for NMSE comparisons with different activation functions.
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Consider the CNY from January 2, 2006, to December 21, 2015, with a total of 2584 observations. In this table, a hyperbolic tangent function is used as the activation function. This table compares the forecasting performance, in terms of the NMSE, for the MLP, EMD-MLP, and EMD-MLP models. We report the NMSE as percentage for l-day ahead predictions where and 30. The DM test [38] is used to compare the forecast accuracy of EMD-MLP (EMD-MLP) model and the corresponding MLP model. , , and denote statistical significance at 1%, 5%, and 10%, respectively. For each length of prediction, we mark the minimum NMSE as bold. |